Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0726
Annualized Std Dev 0.1611
Annualized Sharpe (Rf=0%) 0.4504

Row

Daily Return Statistics

Close
Observations 5174.0000
NAs 1.0000
Minimum -0.1006
Quartile 1 -0.0044
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0053
Maximum 0.0894
SE Mean 0.0001
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0101
Skewness -0.3413
Kurtosis 10.7620

Downside Risk

Close
Semi Deviation 0.0074
Gain Deviation 0.0070
Loss Deviation 0.0080
Downside Deviation (MAR=210%) 0.0123
Downside Deviation (Rf=0%) 0.0073
Downside Deviation (0%) 0.0073
Maximum Drawdown 0.4410
Historical VaR (95%) -0.0150
Historical ES (95%) -0.0243
Modified VaR (95%) -0.0151
Modified ES (95%) -0.0267
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 2011-03-30 -0.4410 832 312 520
2020-02-21 2020-03-23 2020-07-29 -0.3319 111 22 89
2002-05-03 2003-03-10 2004-01-26 -0.2559 436 214 222
2018-01-25 2018-12-24 2019-12-06 -0.2172 471 231 240
2011-07-08 2011-08-10 2012-02-07 -0.1322 148 24 124

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA 0.2 2.1 0.3 -0.2 0.7 -0.9 0.5 2.8
2001 1.8 -0.4 1.1 2.7 0.4 -0.6 -0.8 -0.2 -0.9 1.7 0.4 -0.4 5
2002 0.5 1.8 -0.4 1.5 1 0 -0.5 0.6 2.8 1.4 -1.2 -0.5 7
2003 1.2 0.1 0.2 0.3 1.8 0.8 -1.1 0.2 1.6 0 0.6 -0.4 5.4
2004 0.1 0.9 1 0.4 0.5 -0.6 0.1 0.8 1.1 0.2 1.2 -0.3 5.6
2005 0.2 0.8 -0.7 0.3 0.6 0.1 -0.3 -0.6 0.3 -0.5 0.8 -0.5 0.5
2006 0.2 0.2 -0.6 -0.2 0.7 0 -0.6 0.4 -0.4 -0.4 -0.5 -0.5 -1.5
2007 0.7 -0.1 0 -0.6 0.2 -0.2 1 1.2 0.8 -2.9 0.7 -0.9 0
2008 1.3 -2 2 0.6 0.1 0.1 0.2 -1 1.1 -0.1 -5.7 0.7 -2.8
2009 -3.6 -0.8 1.7 0.1 2.2 1.6 0.3 -1.5 -1.7 -1.8 1.4 -1.1 -3.2
2010 0.8 1 0.7 -0.9 -0.8 0.3 0.2 2 0.2 -0.1 1.9 0 5.2
2011 0.6 -1 0.7 0.2 -1.5 1.1 -0.3 -0.7 -1.7 -2.3 -0.4 -0.3 -5.5
2012 0.7 0.3 0.4 0.3 -2.3 1.7 -0.8 0.2 0.6 0.8 0 1.2 3.3
2013 0.6 0.2 -0.4 -0.6 -1.7 0.9 1.4 -0.3 0.5 0.2 0.1 0.1 1
2014 -0.7 0.3 0.5 -0.1 0.3 0.5 0.4 0.2 -0.6 0.8 -0.8 -1 -0.1
2015 -1.9 0.2 -0.2 0.9 0 1.2 0 -2.5 0 -0.5 0.8 -0.9 -3
2016 0.1 1.4 0.9 0 0.3 0.1 -0.1 0 0.9 -0.6 -0.5 -0.5 2
2017 -0.4 0.8 -0.2 -0.5 0.8 0.8 -0.3 0.6 0.1 0 0.2 -0.1 1.6
2018 -0.6 -0.7 1.1 -0.6 0.5 0.2 -1 -0.1 0.2 0.9 0.8 0.2 0.9
2019 -0.2 0.2 0.3 -1.2 -1.5 0.6 -1 0 -0.6 0.3 -0.2 0.1 -3.1
2020 -1.1 -1.3 -3.2 -2.3 1.5 0.3 -0.4 -0.5 1.4 -1.4 1.1 0.6 -5.4
2021 1.9 2.5 0.2 NA NA NA NA NA NA NA NA NA 4.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-06-16  41.4 SPY    147. -0.0082  0.00240   0.0123   0        0.094        NA       NA <NA>     NA    NA       NA
2 2000-06-19  41.1 SPY    148.  0.0128  0.0248    0.0324   0.0115   0.103        NA       NA <NA>     NA    NA       NA
3 2000-06-26  40.8 SPY    146.  0.0129 -0.015     0.0609  -0.0375   0.0969       NA       NA <NA>     NA    NA       NA
4 2000-06-27  40.9 SPY    145. -0.0074 -0.0188    0.0519  -0.0391   0.0787       NA       NA <NA>     NA    NA       NA
5 2000-07-10  41.2 SPY    148. -0.0017  0.0176    0.0064  -0.0237   0.057        NA       NA <NA>     NA    NA       NA
6 2000-07-11  40.1 SPY    148.  0.0021  0.0059    0.0107  -0.0178   0.063        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart